LIBOR Basis Swaps
For the first time, basis trading reported to the SDRs has topped $1trn in a single month. Similarly, global basis trading has now topped $2trn cleared at LCH SwapClear in a single month. We see that average maturity of basis trades varies according to the indices being traded. Activity in 30y and 50y basis trading […]
RFRs – ISDA announce LIBOR fallback methodology
ISDA have announced a preliminary methodology for Libor fallbacks. This will be the RFR plus a historical spread. This announcement could have a pronounced impact on basis trading. Elsewhere, we have seen continued SOFR trading and the results of the BoE Term Sonia consultation. CLARUS01 already replicates this LIBOR fallback methodology. Risk Free Rates Everywhere […]
RFRs – OIS trades are getting longer!
OIS trading is seeing increasing activity in longer tenors in both USD and GBP. We look at tenor data out of LCH SwapClear to present the volumes in DV01 terms. We find that the amount of long-dated risk traded in 2018 is 2-3 times higher than in 2017. Our series on Risk Free Rates, looking […]
SOFR Swaps – Block Trades and Fannie Mae Issuance
We have seen the first SOFR block trade in significant size. Fannie Mae have issued another $5bn of SOFR linked debt this month. SOFR Swaps Are Trading More Frequently Thanks to our SDR Alerts, I get an email every time SOFR or SOFR Basis trades. Over the month of October 2018, the frequency of these emails […]
CLARUS01 Risk Free Rates
CLARUS01 Are you currently using LIBOR01? What will you do if (when?) Libor is no longer published? We have a simple solution – use CLARUS01 instead. Find it at rfr.clarusft.com. What is CLARUS01? Libor. Risk Free Rates. Benchmark reform. We believe that Interest Rate trading is about to fundamentally change. Clarus want to help during […]
ESTER – What You Need To Know
ESTER will be the European Risk Free Rate (RFR), following an announcement from the European working group. This means that ESTER will replace EONIA (and EURIBOR) as the most important interest rate in Europe. Pre-ESTER data is now available, including volumes. The race starts now to be the first to trade ESTER swaps! What You Need […]
SONIA Term Rates
The Bank of England is running a consultation on term SONIA reference rates. We take a look at a complementary solution. We produce compounded SONIA in-arrears term fixings to help end-users adopt SONIA. Making Our Lives Easier François Jourdain, Chair of the Working Group on Sterling Risk-Free Reference Rates, recently stated that our industry needs […]
LIBOR OIS August 2018 Update
Libor-OIS spreads have collapsed since we last wrote about them in March. 1 year Libor-OIS spreads in USD have retreated to under 30 basis points. Notional traded has continued to be higher than in 2017. Cross currency basis has also moved tighter. We also take a quick look at OIS future volumes. Libor OIS Our Libor-OIS blogs […]
More SOFR Swaps are Trading
Fannie Mae recently issued its first ever securities linked to SOFR (see here for details). The issuance was $6 billion in size, settled on 30 July with 6m, 12m and 18m tranches. So I wanted to update our recent SOFR Swaps Are Trading blog and see if this bond issue has led to any more […]
How much of the swaps market is traded as an OIS?
We summarise the portion of risk that is traded as OIS across seven major markets. Benchmark reforms around the globe are helping transition trading away from Libor into Risk Free Rates. We monitor the progression of these reforms by looking at how much risk is trading in OIS products. How popular are OIS? Clarus use our data products, […]